Numerical schemes for rough parabolic equations
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Publication:434372
DOI10.1007/s00245-011-9157-6zbMath1254.60073arXiv1003.0587MaRDI QIDQ434372
Publication date: 10 July 2012
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.0587
60G22: Fractional processes, including fractional Brownian motion
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65M75: Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs
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A mild Itô formula for SPDEs, Non-linear rough heat equations, Non-autonomous rough semilinear PDEs and the multiplicative sewing lemma, An Exponential Wagner--Platen Type Scheme for SPDEs
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